Remove any bits of shell from the oyster. Strain off the liquid, halve the oysters and cook in liquid 3-5 minutes.
In a bowl combine the parsley, bay leaf, onion, and milk. In a large pot, melt the butter and blend in flour. Slowly add the milk mixture to this and cook till it thickens. Add the oysters. Add salt and cayenne.

Notes

I don't know if you are supposed to add -just- the oysters, or the oysters and their liquid at the end. Try both ways and let me know.